Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

tbillval01

Value of one basis point

Syntax

[Val01Disc,Val01MMY,Val01BEY] = tbillval01(Settle,Maturity)

Description

example

[Val01Disc,Val01MMY,Val01BEY] = tbillval01(Settle,Maturity) calculates the value of one basis point of $100 Treasury bill face value on the discount rate, money-market yield, or bond-equivalent yield.

Examples

collapse all

This example shows how to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = '01-Mar-03';
Maturity = '30-June-03';
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc = 0.0034
Val01MMY = 0.0034
Val01BEY = 0.0033

This example shows how to use datetime inputs to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = datetime('01-Mar-03','Locale','en_US');
Maturity = datetime('30-June-03','Locale','en_US');
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc = 0.0034
Val01MMY = 0.0034
Val01BEY = 0.0033

Input Arguments

collapse all

Settlement date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector of serial date numbers, date character vectors, or datetime arrays. Settle must be earlier than Maturity.

Data Types: double | char | datetime

Maturity date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Output Arguments

collapse all

Value of one basis point of discount rate for every $100 face, returned as a NTBILLS-by-1 vector.

Value of one basis point of money-market yield for every $100 face, returned as a NTBILLS-by-1 vector.

Value of one basis point of bond-equivalent yield for every $100 face, returned as a NTBILLS-by-1 vector.

References

[1] SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Volume 1, 3rd edition, pp. 44–45.

[2] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.

[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.

Introduced before R2006a

Was this topic helpful?